RPM's (Redhat Package Management) is a way to install PRE-Compiled software (like with windows). You usually have two options when hunting for RPM's, the distro-specific or the source binary. While the source binary is really distro-independant, it is usually easier to just download the RPM for your distro IMHO.
I usually compile from source (tarball), since dependancies drive me crazy. It also gives me better tweaked software that is custaom tailored to my machine.
What distro are you using?
What are you trying to install?
Also, If you did not install all the needed devel libraries, you will find it hard to compile much.